28 citations · 95 across the 25 of their papers we have counts for
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q-fin.ST2010★ 13 cited
Minimal model of financial stylized facts
Danilo Delpini, Giacomo Bormetti
In this work we afford the statistical characterization of a linear Stochastic Volatility Model featuring Inverse Gamma stationary distribution for the instantaneous volatility. We…
q-fin.RM2010★ 4 cited
Accounting for risk of non linear portfolios: a novel Fourier approach
Giacomo Bormetti, Valentina Cazzola, Danilo Delpini +1
The presence of non linear instruments is responsible for the emergence of non Gaussian features in the price changes distribution of realistic portfolios, even for Normally distri…